He really did love her.
I know there's people who say Sam and Madison were a terrible couple, she was a monster, they only had one night, they had nothing in common, etc. Well, I disagree. I think they were a wonderful couple, because they had a lot Mehr in common than most people can see.
See, there was an underlying meaning to the two of them being together. As we know, Sam, at that time, was terrified of the monster he was supposed to become. Madison was just as terrified of the werewolf she was. So when the two of them found each other, they were able to connect on a level deeper than most of us can, even though Sam never told Madison about himself, and even Sam did not yet know that he was already technically a "monster," because of the demon blood.
But I think Sam could feel for Madison, even though he never told her and she never knew, and that's why he fell in Liebe with her. (Yes, I believe he really did
Liebe her. After all, Sam isn't a one-night stand kind of guy Von nature.) Sam knew what it was like to be afraid of himself, of what he might do to someone, and yet be too afraid to do what was necessary to stop it. That's why he did what Madison asked him to do. And I wonder if he didn't admire her a little, too, for having the courage to hand him the gun and tell him to use it on her. You'll remember that Sam had to be dead drunk to tell Dean to do the same for him.
So did Sam and Madison have nothing in common besides sex? I don't think so. Who cries like that over a one-night stand? Madison, although not my Favorit girl for Sam (that would be Jessica), probably had Mehr in common with him than anyone else he ever loved.
You'll have to kill me.